Description

The investment seeks to track the investment results of the ICE U.S. Treasury 10-20 Year Bond Index. The fund generally invests at least 90% of its assets in the bonds of its underlying index and at least 95% of its assets in U.S. government bonds. It seeks to track the investment results of the underlying index which measures the performance of public obligations of the U.S. Treasury that have a remaining maturity of greater than or equal to ten years and less than twenty years.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Using this definition on our asset we see for example:
  • The total return over 5 years of iShares 10-20 Year Treasury Bond ETF is -10.6%, which is smaller, thus worse compared to the benchmark SPY (80%) in the same period.
  • During the last 3 years, the total return, or increase in value is -32.2%, which is smaller, thus worse than the value of 31.8% from the benchmark.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (12.5%) in the period of the last 5 years, the annual return (CAGR) of -2.2% of iShares 10-20 Year Treasury Bond ETF is smaller, thus worse.
  • Compared with SPY (9.7%) in the period of the last 3 years, the annual return (CAGR) of -12.2% is lower, thus worse.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (21.3%) in the period of the last 5 years, the historical 30 days volatility of 13.3% of iShares 10-20 Year Treasury Bond ETF is lower, thus better.
  • Compared with SPY (17.6%) in the period of the last 3 years, the volatility of 13.9% is lower, thus better.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (15.3%) in the period of the last 5 years, the downside risk of 9.4% of iShares 10-20 Year Treasury Bond ETF is lower, thus better.
  • Compared with SPY (12.3%) in the period of the last 3 years, the downside volatility of 10% is lower, thus better.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

Applying this definition to our asset in some examples:
  • The Sharpe Ratio over 5 years of iShares 10-20 Year Treasury Bond ETF is -0.35, which is lower, thus worse compared to the benchmark SPY (0.47) in the same period.
  • Looking at Sharpe Ratio in of -1.05 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.41).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Which means for our asset as example:
  • Looking at the ratio of annual return and downside deviation of -0.5 in the last 5 years of iShares 10-20 Year Treasury Bond ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.66)
  • During the last 3 years, the excess return divided by the downside deviation is -1.46, which is lower, thus worse than the value of 0.58 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Which means for our asset as example:
  • Looking at the Downside risk index of 20 in the last 5 years of iShares 10-20 Year Treasury Bond ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (9.43 )
  • Looking at Ulcer Index in of 22 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10 ).

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -41.1 days of iShares 10-20 Year Treasury Bond ETF is lower, thus worse.
  • Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum DrawDown of -38 days is lower, thus worse.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Which means for our asset as example:
  • Compared with the benchmark SPY (480 days) in the period of the last 5 years, the maximum days under water of 837 days of iShares 10-20 Year Treasury Bond ETF is larger, thus worse.
  • During the last 3 years, the maximum days under water is 755 days, which is higher, thus worse than the value of 480 days from the benchmark.

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

Applying this definition to our asset in some examples:
  • Looking at the average days under water of 303 days in the last 5 years of iShares 10-20 Year Treasury Bond ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (119 days)
  • Looking at average days under water in of 378 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (174 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of iShares 10-20 Year Treasury Bond ETF are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.